Functionals of Multidimensional Diffusions with Applications to Finance

by Eckhard Platen and Jan Baldeaux

Book Overview

1 A Benchmark Approach to Risk Management.- 2 Functionals of Wiener Processes.- 3 Functionals of Squared Bessel Processes.- 4 Lie Symmetry Group Methods.- 5 Transition Densities via Lie Symmetry Methods.- 6 Exact and Almost Exact Simulation.- 7 Affine Diffusion Processes on the Euclidean Space.- 8 Pricing Using Affine Diffusions.- 9 Solvable Affine Processes on the Euclidean State Space.- 10 An Introduction to Matrix Variate Stochastics.- 11 Wishart...

• Format: Paperback
• Language: English
• ISBN: 3319033344
• ISBN13: 9783319033341
• Release Date: August 2015
• Publisher: Springer
• Length: 425 Pages
• Weight: 1.38 lbs.
• Dimensions: 0.9" x 6.1" x 9.2"